6 ECTS credits
156 h study time
Offer 1 with catalog number 4020311ENR for all students in the 2nd semester
at
a (E) Master - advanced level.
- Semester
- 2nd semester
- Enrollment based on exam contract
- Impossible
- Grading method
- Grading (scale from 0 to 20)
- Can retake in second session
- Yes
- Enrollment Requirements
- Studenten die dit opleidingsonderdeel opnemen, moeten geslaagd zijn voor 'Statistiek II' en 'Wiskunde II voor Handelsingenieurs' OF studenten zijn geslaagd voor 'Advanced Mathematics for Business & Technology & Statistics for Business and Economics II'.
- Taught in
- Dutch
- Faculty
- Faculty of Social Sciences & SolvayBusinessSchool
- Department
- Business
- Educational team
- Steven Vanduffel
(course titular)
- Activities and contact hours
-
28 contact hours Lecture
14 contact hours Seminar, Exercises or Practicals
114 contact hours Independent or External Form of Study
- Course Content
DERIVATIVES
- context
- valuation principles
- calls/puts
- replicating portfolio and risk-neutral valuation techniques
- the Black-Scholes formula
MONTE-CARLO SIMULATION
- context, techniques and applications
PORTFOLIO SELECTION
- Mean-variance optimization
- two fund theorem
- sharpe ratio
- capital market line
- CAPM
- Additional info
Slides and class notes
Scientific literature as background
- Learning Outcomes
-
General competencies
- Recognizing financial derivatives, mastering their valuation principles and being able to apply these
- Determining optimal asset allocation schemes (Markowitz)
- Solving problems in finance using Monte-Carlo simulation techniques.
- Grading
-
The final grade is composed based on the following categories:
Written Exam determines 100% of the final mark.
Within the Written Exam category, the following assignments need to be completed:
- Written Exam
with a relative weight of 1
which comprises 100% of the final mark.
- Additional info regarding evaluation
Not applicable.
- Allowed unsatisfactory mark
- The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.
Academic context
This offer is part of the following study plans:
Master of Business Engineering: Standaard traject (only offered in Dutch)